Hi just joined this website for the ag ideas thread have been trading similar spreads in my pa for the last few years. Worked at a hf in the past that participated in most commodity markets.
Nice to hear that. Still trading this kind of spreads daily. Originally, I am a liquidity provider but those types of strategy are my bread and butter now. The results are slightly more volatile though. The HF was using similar strategies or that's somthing you developped on your own?
So i worked in a pod that was multi- asset but had a sleeve dedicated to commodities managed by a different pod, they always did very well. they were always a bit cagey, a blend of pure systematic and discretionary. I backed into a lot of the discretionary trades - all inter/intra commodities and time spreads. I imagine crossing the spread and longer holding periods are adding to your increased volatility?
I actually still rarely cross the spread except when the opportunity is too good. It is funny the number of consistent portfolio managers on commodities. There is some limits to liquidity though.
